Overall Statistics
Total Trades
4
Average Win
0%
Average Loss
-3.66%
Compounding Annual Return
-23.235%
Drawdown
59.200%
Expectancy
-1
Net Profit
-11.044%
Sharpe Ratio
0.203
Probabilistic Sharpe Ratio
29.562%
Loss Rate
100%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
-0.041
Beta
1.974
Annual Standard Deviation
0.934
Annual Variance
0.872
Information Ratio
0.157
Tracking Error
0.464
Treynor Ratio
0.096
Total Fees
$4.00
 
class VentralTransdimensionalProcessor(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2020, 1, 1)  # Set Start Date
        self.SetCash(10000)  # Set Strategy Cash
        self.AddEquity("SPY", Resolution.Minute)
        self.SetBrokerageModel(BrokerageName.InteractiveBrokersBrokerage, AccountType.Cash)
       
        
        


    def OnData(self, data):
        if not self.Portfolio.Invested:
            self.SetHoldings("SPY", 2)